…including the capital asset pricing model (CAPM), the three-factor Fama-French model and the Carhart four-factor model, Swedroe writes, “The fact that we have seen keen competition to improve existing models…
Search Results for: factor
The Basics of Value Investing
…metric they like to use, while others prefer to use a composite of factors. If you look at the long-term performance of all the major value factors, EV/EBITDA and Price/Cash…
Value is the Main Reason Quants Have Performed Badly
…the factor’s short positioning in ‘work-from-home’ tech names that outperformed in 2020.” This lagging performance, BNP found, dragged down multi-factor portfolios, and revealed the worst results tied to higher exposure…
An In Depth Look at Momentum Investing and Trend Following with Jack Vogel (Ep. 69)
There is perhaps no investment factor with more long-term data to support it than momentum. But despite that, its real world usage lags far behind other factors like value. Part…
Quants Seeing Record High Correlations
Factor investing strategies, described in a recent Bloomberg article as the “$2 trillion corner of the quant world,” are seeing the highest level of correlations in two decades and are…
The Basics of Momentum Investing
By Jack Forehand, CFA (@practicalquant) We often write about factor investing on our blog. We talk about factors like value, momentum, quality and low volatility and their practical use in the real…
Rob Arnott on Value Investing Outlook
…Citing historical analysis of value’s performance relative to price, Arnott says the linkage between the factor’s relative cheapness and performance is “really powerful.” “When I look at the market today,…
Are Intangibles to Blame for Value’s Pain?
…much in Europe or Japan, the value factor has “performed just as terribly,” there. It notes, “If intangibles were really the culprit, the value factor should not have performed so…
Considerations For Investors Seeking High Dividend Paying Stocks
…their dividends in each of the past 25 years. The NOBL ETF holds the Dividend Aristocrats in and ETF wrapper – view NOBL on our ETF Factor Report. Validea’s Guru…
The Case Against Value Stocks – Part II
…Stanhope of O’Shaughnessy Asset Management illustrates this point. Source: A Factor Investor’s Perspective of the Economic Cycle — Factor Investor That isn’t necessarily a problem, unless of course we start…